Welcome to IE Analytics. We provide analyses of risky assets to determine whether or not they are fairly priced. We do this using sophisticated mathematical models and state-of-the-art statistical techniques. Our method is based on a decade of research, and our techniques have been published in some of the leading scholarly journals in the area. To simplify matters, we have reduced the question of whether or not a risky asset is currently fairly priced, or undergoing speculative pricing (“irrational exuberance,” in the famous words of Alan Greenspan) to the behavior of the volatility of the risky asset. If a graph of the volatility function is speeding off to infinity at too fast a rate, then the asset is experiencing bubble pricing. If it is not going fast enough, or not even going off to infinity, then the asset is currently fairly priced. Risky asset classes amenable to our analysis include stocks, risky asset indices (such as the housing index, or the S&P 500), commodities such as gold, or even exotic assets such as the fine wines market. Some illustrations of how our methods can be applied are given in the pictures below.
Philip Protter, CEO; Younes Kchia, CTO; Diane Rubenstein, Principal
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In the above graph we used prices per second with 73,695 data points |
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Our estimate of the volatility function for the gold spot prices above Note that the graph of the volatility function is not increasing to infinity as the spot prices increase. We can conclude from this that, for the period August 25, 2011 to September 1, 2011, that there was not a bubble in the price of gold. |
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LinkedIn Spot Prices for the first 5 days of trading after its IPO |
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Estimate of the volatility function of LinkedIn based on the market tick data prices given above; note that the volatility is increasing to infinity fast enough to merit the conclusion of the existence of bubble pricing immediately after its IPOs |
For more information, please send email to info [at] ieanalytics [dot] com
